Abstract
We consider a discrete-time risk model, in which insurance risks and financial risks jointly follow a multivariate Farlie-Gumbel-Morgenstern distribution, and the insurance risks are regularly varying tailed. Explicit asymptotic formulae are obtained for finite-time and infinite-time ruin probabilities. Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
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Chen, Y., Yang, Y. Ruin probabilities with insurance and financial risks having an FGM dependence structure. Sci. China Math. 57, 1071–1082 (2014). https://doi.org/10.1007/s11425-014-4775-5
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DOI: https://doi.org/10.1007/s11425-014-4775-5
Keywords
- asymptotics
- Farlie-Gumbel-Morgenstern distribution
- quasi-asymptotic independence
- regular variation
- ruin probabilities